ISmVectorAutoRegress

The ISmVectorAutoRegress interface defines the parameters for vector autoregression calculation or for impulse response function calculation.

Inheritance Hierarchy

Comments

The impulse response function is used to determine dynamic correlation between variables in the vector autoregression. This function describes how a changed endogenous variable affect current and future values of other endogenous variables.

To compute the impulse matrix, define the ImpulseAROrder and ImpulsePeriod properties. The model is computed with the autoregression having the order 1, 2, 3, … ImpulseAROrder, and values of the ISlEquation.AutoRegressionOrder parameter are ignored.

When at least one of the parameters (ImpulseAROrder, ImpulsePeriod) is not specified, a vector autoregressive model is calculated, model autoregression is defined by the ISlEquation.AutoRegressionOrder vector, and ISlEquation.ImpulseMatrix is not computed.

Properties

	Property name	Brief description
	Equations	The ISlEquations property determines parameters of an equation collection.
	ImpulseAROrder	The ImpulseAROrder property determines the autoregression order for an impulse function.
	ImpulsePeriod	The ImpulsePeriod property determines the period for an impulse function.
	MissingData	The MissingData property determines missing data treatment method and parameters.
	ModelPeriod	The ModelPeriod property determines the sample period.
	VARStatistics	The VARStatistics property returns VAR statistics.

Properties inherited from IStatMethod

	Property name	Brief description
	DisplayName	The DisplayName property returns the displayed method name.
	ErrorByStatus	The ErrorByStatus property returns an error message by the error number.
	Errors	The Errors property returns a message with all the errors and warnings.
	Name	The Name property returns the internal method name.
	PerformanceTime	The PerformanceTime property returns method execution time.
	Status	The Status property returns the method execution status.
	SupportsR	The SupportsR property returns whether statistical method can be calculated via R package.
	UseR	The UseR property determines whether statistical method is calculated via the R package.
	WarningByStatus	The WarningByStatus property returns a warning text by its number.
	Warnings	The Warnings property returns the warnings that occurred on method calculation.
	WarningsCount	The WarningsCount property returns the number of warnings that occurred on method calculation.
	WarningsNumbers	The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

Methods inherited from IStatMethod